US non-linear causal effects on global equity indices in Normal times versus unconventional eras

Papadamou, Stephanos; Kyriazis, Nicholas

doi:10.1007/s10368-019-00457-y

Cited by 6 publications

(4 citation statements)

References 60 publications

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“…In support of positive effects is the study by Chen et al (2016), which also addresses the impact of non-conventional US actions on global equity prices. Papadamou et al (2019b) adopt a non-linear quantile regression approach for detecting causality on the tails of the stock indices' distributions. They provide evidence that US total assets exert non-linear causality towards all stock indices of advanced and emerging economies at least at one level of quantile.…”

Section: Asset Prices and Foreign Exchanges Rates As Intermediate Targets In Unconventional Monetary Policy Channelsmentioning

confidence: 99%

A survey of empirical findings on unconventional central bank policies

Papadamou

Siriopoulos

Kyriazis

2020

JES

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PurposeThis paper presents an integrated overview of the empirical literature on the impact of all forms of unconventional monetary policy on macroeconomic variables and on markets.Design/methodology/approachThis survey covers the findings concerning portfolio rebalancing, signaling, liquidity, bank lending and confidence channels.FindingsThe positive effect of QE announcements on stock and bond prices seems to be unified across studies. A contagion effect from US QE to other emerging markets is identified, while currency devaluation is present in most cases for the country that its central bank adopted such policies. Moreover, impacts of non-conventional practices on GDP, inflation and unemployment are examined. The studies presenting weak instead of strong positive effects on inflation are more, and these studies, also, present weak positive effects on GDP growth.Originality/valueBased on the large body of research on non-conventional action taking, this is the first survey including effects of each country that adopted quantitative easing (QE) measures and that provides results from every methodology employed in order to estimate unconventional practices' impacts.

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Section: Asset Prices and Foreign Exchanges Rates As Intermediate Targets In Unconventional Monetary Policy Channelsmentioning

confidence: 99%

A survey of empirical findings on unconventional central bank policies

Papadamou

Siriopoulos

Kyriazis

2020

JES

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“…During times of crisis, academic research focuses on investigating the behaviour of financial markets and their impacts on the overall economy and the profitability of economic agents (Choudhry et al 2015 ; Haitsma et al 2016 ; Papadamou et al 2018 , 2019 , 2020 , 2021 ; Beneki et al 2019 ; Kyriazis et al 2019 ; Kyriazis 2020a ). The nexus of turbulent economic conditions with financial assets has also been under scrutiny (Kyriazis 2020b ).…”

Section: Introductionmentioning

confidence: 99%

Investigating the nexus between European major and sectoral stock indices, gold and oil during the COVID-19 pandemic

Kyriazis

2021

SN Bus Econ

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This paper investigates the dynamic conditional linkages between the Eurostoxx50, and the Eurostoxx600 and its sub-indices with COVID-19 deaths, gold, and crude oil. The Dynamic Conditional Correlations (DCC) methodology is employed and the period examined spans from 22 January 2020 until 10 July 2020. Econometric outcomes reveal that the European stock indices are modestly-to-strongly linked with gold in a positive direction and this prevents them from abrupt falls during the pandemic. Nevertheless, weak positive linkages of indices with oil are detected. Sectors of major importance such as the energy sector, financial services, banks, automobiles and parts, and basic resources are mostly influenced by gold and oil. Notably, the impact of COVID-19 deaths on major European markets is rather indirect. These findings inform interested investors in order to ameliorate their risk–return tradeoff during the pandemic bear market. Supplementary Information The online version contains supplementary material available at 10.1007/s43546-021-00060-x.

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“…In this context, the work of Papadamou et al (2019aPapadamou et al ( , 2019bPapadamou et al ( , 2020 analysed how unconventional monetary policies affect macroeconomic variables and found that those policies affect output and prices differently but also have linkages with stock markets. In particular, Papadamou et al (2019b) identified that US unconventional monetary policies had significant and greater effects on more developed economies, although the effect was also visible in emerging markets (albeit less intensive). These results highlighted the importance of a whole set of variables in how stock markets commove between each other.…”

Section: Introduction and Literature Reviewmentioning

confidence: 99%

EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients

Tilfani

Ferreira

Dionísio

et al. 2020

JRFM

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For this paper, we dynamically analysed the comovements between three major stock markets—Germany, the UK, and the US—and the countries of the European Union, divided into two groups: Eurozone and non-Eurozone. Correlation coefficients based on a detrended cross-correlation analysis (DCCA) were used, and the respective temporal variation was evaluated. Given the objective of performing a dynamic analysis, sliding windows were used in an attempt to represent short and long-term analyses. Critical moments in financial markets worldwide were also taken into account, namely the subprime debt crisis, the sovereign debt crisis, and Brexit. The results suggest that Germany and other Eurozone countries generally share high levels of comovements, although the Brexit decision reduced those connections. The subprime crisis also increases comovements among markets.

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US non-linear causal effects on global equity indices in Normal times versus unconventional eras

Cited by 6 publications

References 60 publications

A survey of empirical findings on unconventional central bank policies

A survey of empirical findings on unconventional central bank policies

Investigating the nexus between European major and sectoral stock indices, gold and oil during the COVID-19 pandemic

EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients

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